Tick Size and Earnings Guidance in Small-Cap Firms: Evidence from the SEC’s Tick Size Pilot Program
利用美国证交会2016年最小价格变动单位试点项目这一自然实验，研究发现最小价格变动单位增加后，小盘股公司显著减少了盈利指引发布，原因在于投资者信息获取和财务报告质量提升，且减少程度受披露成本和融资需求影响。
The Securities and Exchange Commission’s 2016 Tick Size Pilot Program was a natural experiment that imposed increases in tick size for randomly selected small-cap firms. Using a difference-in-differences research design, we examine the effect of this increase in tick size on earnings guidance. We find that after initiation of the program, treatment firms provide significantly less earnings guidance. We provide further evidence that this decrease is driven by increases in investors’ fundamental information acquisition and in firms’ financial reporting quality, consistent with firms reducing earnings guidance when investors are already more informed. The decrease is stronger for firms with higher proprietary costs of disclosure, consistent with firms being more likely to reduce costly disclosure when investors are more informed. In contrast, the decrease is weaker for firms with greater external financing needs, consistent with these firms continuing to seek the benefits of disclosure, even when investors are more informed. Taken together, our results suggest that an increase in tick size makes investors more informed, which, in turn, reduces the need for firms to provide earnings guidance, though the extent of the reduction depends on the costs and benefits of providing earnings guidance. This paper was accepted by Suraj Srinivasan, accounting. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.4930 .